+101. For the purpose of sensitivity analysis under stress scenarios, institutions should evaluate …
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101. For the purpose of sensitivity analysis under stress scenarios, institutions should evaluate …
For the purpose of sensitivity analysis under stress scenarios, institutions should evaluate, in the economic value metrics, the limitations associated with the use of a run-off assumption and the ability of the institution to capture the long-term interest rate risk.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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